High order approximation of derivatives with applications to pricing of financial derivatives
type: Item
instance of: scholarly article
title: High order approximation of derivatives with applications to pricing of financial derivatives
zbMATH Open document ID: 1486.65212
author: Xiang Wang
author: Jessica C. Li
author: Jichun Li
published in: Journal of Computational and Applied Mathematics
publication date: 2021-07-29T00:00:00Z
Mathematics Subject Classification ID: 65M70
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 65N35
Mathematics Subject Classification ID: 65D12
Mathematics Subject Classification ID: 65M12
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 35Q91
zbMATH DE Number: 7376404
zbMATH Keywords: option pricing models
zbMATH Keywords: Black-Scholes equation
zbMATH Keywords: radial basis function
zbMATH Keywords: high-order compact finite difference method
describes a project that uses: Matlab
MaRDI profile type: Publication
full work available at URL: j.cam.2021.113675
OpenAlex ID: W3172266083
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DOI: 10.1016/J.CAM.2021.113675
description: scientific article; zbMATH DE number 7376404